Quarterly Investment Narrative Conference Call

Thursday, June 1, 2017

Speakers

Horacio Valeiras, CFA Principal, HAV Capital

Investment Chair, Board of Governors The San Diego Foundation

Matt Fettig, CFA Vice President, Chief Investment Officer

The San Diego Foundation

Adrienne Vargas Vice President, Chief Giving Officer

The San Diego Foundation

Agenda

1. Macroeconomic update

2. Performance & attribution for Endowment Portfolio

3. Performance & attribution for Long-Term Portfolio

4. Performance & attribution for Medium-Term Portfolio

5. Performance & attribution for Short-Term Portfolio

6. Q&A

Post-election price movements

Source: Bloomberg, 10/3/16-4/10/17

85

90

95

100

105

110

115

120

Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17

Inde

xed

to 1

00

Russell 1000 Russell 2000 Russell 1000 Financial Services Bloomberg Dollar Spot Gold Copper Bloomberg Barclays US Treasury

Valuations

Source: Bloomberg, MSCI, as of 3/31/17 – 3 month average

1.7

21.2

11.5

3.1 4.7

3.1

22.0 21.2

2.0

4.5

1.6

15.5

13.4

2.5

6.4

0

5

10

15

20

25

P/BV P/E Price/FCF Dividend Yield (%)

Earnings Yield (%)

EAFE

United States

Emerging Markets

International economics summary

Area GDP (Real, YoY) Inflation (CPI, YoY) Unemployment

United States 1.2% 3/31/17

2.2% 4/30/17

4.4% 4/30/17

Western Europe 2.0% 3/31/17

1.4% 4/30/17

7.8% 4/30/17

Japan 1.6% 3/31/17

0.4% 4/30/17

2.8% 4/30/17

BRIC Nations 5.2% 12/31/16

2.9% 4/30/17

5.2% 4/30/17

Brazil (2.5%) 12/31/16

4.1% 4/30/17

13.6% 4/30/17

Russia 0.5% 3/31/17

4.1% 4/30/17

5.3% 4/30/17

India 6.1% 3/31/17

3.0% 4/30/17

4.0% 4/30/17

China 6.9% 3/31/17

1.2% 4/30/17

4.0% 4/30/17

U.S. Treasury Forward Yield Curve

Source: Bloomberg, FRED, as of 3/31/17

0%

1%

2%

3%

4%

1 Mo 3 Mo 2 Yr 5 Yr 7 Yr 10 Yr 15 Yr 20 Yr 30 Yr

Spot 6 Mo (Forward) 12 Mo (Forward)

Performance & attribution for Endowment Portfolio

Asset Allocation $462.2 as of March 31, 2017

Includes Principal Only

Returns* For period ending March 31, 2017

Domestic Fixed Income,

10.1%

Global/Int'l Fixed Income,

7%

Domestic Equity, 23.3%

Global Equity, 6.1%

Alternative, 20.5%

Commodities, 3.8%

Real Estate, 7.1%

Int'l Equity, 21.7%

Cash, 0.4%

Qtr. 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 4.6% 12.5% 4.6% 6.8% 7.1% 4.6% Policy Index 4.3% 11.2% 4.1% 6.7% 6.9% 4.5%

0%

5%

10%

15%

*The Foundation's Policy Index is a composite of indexes reflecting our diversified portfolio, specifically: 48% MSCI ACWI, 11% BC US Universal, 3% BC Corp High Yield Index, 3% JPM GBI-EM Diversified Index, 9% NCREIF ODCE, 15% HFRI FOF Index, 7% Cambridge Assoc. U.S. Private Equity Index Lagged, 4% Bloomberg Commodity Index.

Performance & attribution for Long-Term Portfolio

Asset Allocation $40.5 million as of March 31, 2017

Returns* For period ending March 31, 2017

Alternative Investment,

20%

Fixed Income, 19.1%

Int'l Equity, 26.4%

Domestic Equity, 25.7%

Real Estate, 4.4%

Commodities, 4.4%

Qtr. 1 Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 5.1% 12.5% 3.5% 5.6% 6.2% 4.3% Policy Index 4.5% 11.2% 3.3% 5.8% 6.5% 4.7%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

*The Foundation’s Policy Index for Long Term Pool is 50% MSCI ACWI, 20% HFRI FOF Index, 7% Barclays Aggregate, 7% Barclays High Yield, 6% FTSE NAREIT, 5% JPM GBI Global Div, 5% Bloomberg Commodity Index. Fixed Income Index: 37% Barclays Aggregate, 37% Barclays High Yield, and 26% JPM GBI Global Div Index.

Performance & attribution for Medium-Term Portfolio

Asset Allocation $53.8 million as of March 31, 2017

Returns* For period ending March 31, 2017

Domestic Fixed

Income, 56.3% Domestic

Equity, 14.7%

Cash, 5%

Int'l Equity, 15.5%

Global/Int'l Fixed

Income, 3.7% Commodities, 4.8%

Qtr. 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 2.8% 7.4% 1.7% 3.4% 3.9% 3.0% Policy Index 2.6% 5.2% 2.1% 3.4% 4.2% 3.5%

0.0%

2.0%

4.0%

6.0%

8.0%

*The Foundation’s Policy Index for Medium Term Portfolio is 30% MSCI ACWI, 35% Barclays Aggregate, 5% Barclays High Yield, 4% Barclays Global Aggregate, 21% BofA ML 1-3 yr Treasury, 5% 91 Day T-Bills. Fixed Income Index: 54% Barclays Aggregate, 8% Barclays High Yield, 6% Barclays Global Aggregate, 32% BofA ML 1-3 yr Treasury.

Performance & attribution for Short-Term Portfolio

Asset Allocation $20.9 million as of March 31, 2017

Returns For period ending March 31, 2017

0.0%

0.1%

0.2%

0.3%

3/31/16 6/30/16 9/30/16 12/31/16 3/31/17 TSDF Actual 0.10% 0.10% 0.10% 0.10% 0.20%

Q&A

To submit questions for the Q&A, please use the “Questions” chat function

Thank You

SDFoundation.org/Investments